Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0070 |
| Annualized Std Dev | 0.2336 |
| Annualized Sharpe (Rf=0%) | 0.0301 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3542.0000 |
| NAs | 1.0000 |
| Minimum | -0.1510 |
| Quartile 1 | -0.0045 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0059 |
| Maximum | 0.2016 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -0.4202 |
| Kurtosis | 27.4776 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.6384 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0367 |
| Modified VaR (95%) | -0.0176 |
| Modified ES (95%) | -0.0176 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-01 | 2008-11-20 | 2020-08-27 | -0.6384 | 3335 | 374 | 2961 |
| 2021-02-18 | 2021-03-08 | NA | -0.0959 | 23 | 13 | NA |
| 2020-09-03 | 2020-09-24 | 2020-11-05 | -0.0884 | 45 | 15 | 30 |
| 2021-01-25 | 2021-01-29 | 2021-02-09 | -0.0538 | 12 | 5 | 7 |
| 2007-03-01 | 2007-04-23 | 2007-05-10 | -0.0259 | 50 | 37 | 13 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.3 | 0 | -0.5 | -1.5 | 0 | -2 | 2.9 | 1.9 | -1.2 | 1.7 | 1 | 1.8 |
| 2008 | 1.8 | -2 | 3 | 1.6 | -0.7 | -0.2 | -0.3 | -0.2 | 4.7 | 4 | -10.5 | 3.2 | 3.5 |
| 2009 | 0 | 1.8 | 1.4 | 0.4 | 2.4 | 1.8 | 0.9 | -2 | -1.6 | -2.6 | 1.5 | 1 | 5 |
| 2010 | 0.3 | 0.5 | 0.7 | -1.4 | -1.4 | -1.4 | 0.4 | 1.7 | 0.4 | 0.4 | 1 | -0.2 | 1.1 |
| 2011 | 0.2 | -0.1 | 1.3 | 0.5 | -0.1 | 1.2 | 0.3 | -0.7 | -1.7 | -3.2 | 0.1 | 0 | -2.3 |
| 2012 | 1.7 | -0.2 | 0.9 | 0.3 | -2 | 1.7 | -0.2 | -0.1 | -0.2 | 1 | 0.1 | 1.2 | 4.1 |
| 2013 | 0.4 | -0.3 | 0.1 | 0.4 | -0.9 | -0.1 | 0.9 | -0.1 | -0.1 | -0.1 | 0.3 | 0.6 | 1.2 |
| 2014 | -1 | -0.2 | 0.8 | -0.2 | 0 | 0.2 | -0.3 | 0 | -1 | 1.1 | -1.5 | 0.6 | -1.3 |
| 2015 | -0.8 | 0 | 0.2 | 0.4 | 0.3 | 0.6 | 0.3 | -2.2 | -0.1 | 0.1 | 1 | -0.2 | -0.4 |
| 2016 | 0.2 | 1.7 | -0.1 | -0.3 | 0.3 | 0.7 | -0.4 | -0.8 | 0.8 | -0.7 | -0.7 | -0.6 | 0.1 |
| 2017 | 0.1 | 0.4 | 0.1 | 0.2 | 0.8 | 0.3 | 0.6 | 0.3 | 0.2 | 0.4 | -1.3 | -0.3 | 1.8 |
| 2018 | -0.1 | -1.1 | 1.3 | 0.3 | 0.5 | 1.1 | -0.9 | -0.2 | 0.6 | 1.8 | 1.2 | -0.5 | 3.9 |
| 2019 | 0 | 0.3 | 1 | 0 | -2 | 0.9 | -1.3 | -0.2 | -1.7 | 0.5 | -0.3 | 0 | -2.7 |
| 2020 | -2 | -3.6 | -6.9 | -2.9 | 1.8 | 0.3 | 1.2 | 0.4 | 0.5 | -1.4 | 1.7 | 0.8 | -10 |
| 2021 | 1.9 | 2.8 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-23 25 SPY 145. -0.0039 -0.0034 0.0094 0.0342 0.124 0.268 0.342 GLD 67.7 0.0085 0.0197
2 2007-02-26 25.0 SPY 145. -0.0009 -0.0038 0.0205 0.0322 0.125 0.269 0.324 GLD 68.1 0.0056 0.0262
3 2007-02-27 25.0 SPY 140. -0.0391 -0.0448 -0.0187 -0.0101 0.078 0.214 0.252 GLD 65.4 -0.0395 0.0015
4 2007-02-28 25.1 SPY 141. 0.0103 -0.0346 -0.0079 0.0041 0.0886 0.226 0.267 GLD 66.5 0.0164 -0.0119
5 2007-03-01 25.1 SPY 141. -0.003 -0.0367 -0.016 0.0151 0.0958 0.222 0.258 GLD 65.8 -0.0099 -0.0198
6 2007-03-02 25.1 SPY 139. -0.0131 -0.0456 -0.0353 -0.0025 0.0719 0.194 0.248 GLD 63.7 -0.0321 -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
